You can of course create the edmx
in a separate project but I don't think you can separate the classes into more than the generated default files. Note that you shouldn't attempt to edit the generated classes as these will be overwritten when updated and you can easily break stuff too.
You can, however, create a public partial class
with the same namespace and class declaration as each of the Entity objects to allow you to extend the classes and add initialization / validation functions etc. allowing you to put each entity in its own class file for extending.
Updated:
All related partial classes must be in the same assembly and need to use the same namespace and class declaration as the original entity partial class
in the <EntityModel>.Designer.cs
. See below for example code.
namespace YourEntityNamespace
{
public partial class YourEntity : EntityObject
{
// Add methods and properties to extend the entity class
}
}